Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 9 9 10
Score 5.6 4.74 9.15
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.14 0.14 0.14
Idiosyncratic Volatility 0.3 0.34 0.34

Annualized return and volatility

MLAIX
Annualized Return 0.1117
Annualized Std Dev 0.2173
Annualized Sharpe (Rf=0%) 0.5141

Row

Daily Return Statistics

MLAIX
Observations 3773.0000
NAs 1341.0000
Minimum -0.2283
Quartile 1 -0.0047
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0065
Maximum 0.2906
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0137
Skewness 1.1409
Kurtosis 78.3583

Downside Risk

MLAIX
Semi Deviation 0.0098
Gain Deviation 0.0106
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0095
Downside Deviation (0%) 0.0095
Maximum Drawdown 0.4873
Historical VaR (95%) -0.0199
Historical ES (95%) -0.0312
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2011-01-18 -0.4873 824 273 551
2018-10-02 2018-12-24 2019-04-02 -0.2229 127 59 68
2011-07-08 2011-10-03 2012-02-16 -0.2060 157 62 95
2015-07-21 2016-02-08 2017-02-09 -0.2024 400 143 257
2012-04-04 2012-06-01 2013-01-22 -0.1359 204 41 163

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec MLAIX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA -0.8 0.0 1.2 0.2 0.2 0.2 0.0 0.2 1.6 0.0 2.8
2006 0.0 1.2 0.0 -0.9 1.6 0.0 -0.9 0.5 0.0 -1.4 -0.5 0.0 -0.3
2007 0.3 -0.5 0.0 0.0 0.3 0.0 0.6 0.0 0.8 -1.7 0.0 0.0 -0.2
2008 1.1 0.0 3.1 1.3 0.0 0.3 -0.6 0.0 -1.6 0.0 -7.9 0.0 -4.6
2009 0.0 0.0 0.4 0.2 2.8 -0.2 0.0 -1.6 -2.8 0.0 1.2 0.0 -0.1
2010 1.7 1.3 0.5 0.0 -1.8 0.0 0.0 3.4 0.2 -0.1 2.0 0.0 7.3
2011 1.9 -2.0 0.6 0.0 -2.7 1.5 -0.4 -1.1 0.0 -2.4 0.3 0.0 -4.2
2012 1.1 1.0 0.0 -0.1 -2.9 0.0 -0.5 0.0 0.2 1.2 0.0 0.0 -0.2
2013 1.0 0.7 -0.7 -0.9 0.0 0.9 1.7 0.0 1.2 0.2 0.0 0.0 4.1
2014 0.0 0.0 1.6 0.5 0.0 1.1 -0.5 0.0 -1.7 0.0 -1.4 0.0 -0.5
2015 0.0 0.0 -0.6 0.8 0.5 0.7 0.0 -2.9 1.1 0.0 1.3 0.0 1.0
2016 0.3 2.6 0.9 0.0 0.3 0.5 0.2 0.2 0.0 -0.7 -1.4 0.0 3.0
2017 0.2 1.4 0.0 0.5 0.6 0.0 0.3 -0.1 0.0 0.0 -0.7 0.0 2.2
2018 -0.4 -1.3 0.0 0.8 1.5 0.0 -0.1 0.0 0.3 1.0 0.0 0.0 1.9
2019 0.1 1.0 1.1 -1.3 0.0 1.1 -0.6 0.0 -0.8 0.0 0.0 -0.1 0.6

Row

Rolling Performance Chart

Snail Trail Chart